small cap

Small-Cap Growth in Japan: The Strategy That Lost Money Over 25 Years (Even vs Nikkei 225)

Japanese small-cap growth returned -1.17% CAGR over 25 years, turning $10,000 into $7,447 — a net loss. Underperformed Nikkei 225 (3.31% CAGR) by -4.48%/yr. With 40% annual win rate and 75.5% down capture versus Nikkei 225, this is one of the clearest cases of a factor premium failing completely.

small cap

Small-Cap Growth Korea: Marginal Alpha Against a Strong Benchmark (+0.19%/yr)

Korea's small-cap growth screen returned 5.54% CAGR over 25 years. The KOSPI benchmark returned 5.35%. The strategy beat the local market by +0.19% per year. That's not a rounding error, but it's close. Contents 1. Executive Summary 2. The Method 3.

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